I recommend you choose as race the Khajiit. This means that you can cast
Night Eye all the time to see in the dark and you don't have to lug a torch
around.

Choose The Shadow as you sign; this gives you the ability to be
invisible for 60 seconds, which can be very handy at times.

Exploration:

Always walk (sneak) rather than travel fast from one location to
another. Keep your eye on the compass to see if there are any
buildings/caves/mines/camps nearby. Go to them to "discover" them
but don't go in - you might be sent there later for a mission and you mustn't
mess things up! Once you've discovered a place, turn around on the spot to see
if more new places show up on the compass. You will be able to travel fast
later to the locations you have discovered.

Also, while you are exploring, look out visually for shrines which will
not show up on the compass.

Advancement:

Throughout, concentrate on advancing your Stealth skills in order to go
up in levels quickly.

SECURITY: Pick all the locks you come across, even if you are unable
(or unwilling) to take the contents of the chests. You can also try to open
chests where the red hand appears, so long as you don't steal from them.

SNEAK: From the start, sneak everywhere all the time. You need only
stop when you have to speak to people.

Look out for items which confer the "Chameleon" property -
they will help you greatly to sneak about. In fact, if you get/enchant enough
of these items, you will be practically invisible.

ACROBATICS: As you walk (sneak) around the Oblivion world, leap or jump
wherever it's safe (i.e., not down a cliff!); of course, you will have to wait
sometimes to restore your fatigue. If you have to wait for any reason, don't
go to the time you want but rather employ it by jumping or leaping safely.

LIGHT ARMOUR: Once you have equipped the light armour, you can advance
in this skill by getting yourself plenty of health restore potions, finding
yourself an isolated goblin (who won't give you nasty diseases) and letting him
hit you while you restore your health.

MARKSMAN: Equip the first bow you come across and use nothing else -
sneak and kill from a distance. Later on you'll find better bows and you can
enchant them with a shock spell which will be devastating.

MERCANTILE: You advance in this skill by selling lots of stuff to
merchants. Collect all the food you find (in some places, it appears again the
next day) as well as mushrooms, herbs, flowers, etc. As soon as you get a
mortar and pestle start combining by twos any of the foods/whatever you are
carrying (this will also advance you in the Alchemist skill, but that's
incidental). You will get lots of weak potions which you can then sell and
this will advance you in the Mercantile skill.

SPEECHCRAFT: I have not found a way to advance in this skill
automatically, so you will have to find teachers and buy their training.

Levelling up:

When you level up, *always* increase your strength apart from whatever
else you wish to increase. Being stronger means you can carry more stuff and
hit harder.

Strategy:

Always save before you enter a new location - if you can't cope with the
nasties, reload and come back later.

At the start of the game, be noble. Don't steal and don't kill
innocents, help everyone you can. Follow the main quest as far as you can and
join the Fighters and Mages guilds, doing their quests when you can. At first
these quests are very easy but they get more difficult as you go on.

Do fight in the Arena as far as you are able. Towards the end, you
should be able to become a champion. Do the Agronak quest but don't challenge
him till later.

Once you've completed the main quest and are offered the magic armour in
three weeks' time you can start going around talking to people, seeking those
who have the option "Training" in their dialogue. This will enable
you to get the top trainers in all the skills, plus you get more quests.

Talking of which:

The NIRNROOT quest

You will need 100 all told. Walk along the edge of the various rivers -
these roots grow very close to the water.

The VENERABLE VINTAGE quest

These are the Forts you have to visit to get the Shadowbanish wine:
Vastarus, Carmala, Dirich.

The UMBACANO quest

Find the first Ayleid statue in Vilverin (north of the sewers through
which you first entered the Oblivion world). Take it to Umbacano, speak to him
and he'll request 9 more. Find a second statue. Take it to him and he will
reveal a few more sites. These are the other sites which contain a statue:

Don't take the statues to him until you've collected the lot. After you
hand them to him, he will give you another quest - play along but give him the
wrong crown. When he eventually dies, get his house key from him. If you join
the Thieves' Guild, you can sneak into his house, steal all the statues plus
all the silver items you find there and this will give you all stolen loot
you'll need to advance in the Guild.

Joining the Thieves' Guild:

If you want more quests and more fun you can join this Guild (though
you'll stop being Mr. Nice) by giving to all the beggars until one of them
tells you what to do to join the Guild.

When you reach the top of this Guild, you can try your hand at the Dark
Brotherhood.

Joining the Dark Brotherhood:

Challenge Agronak at the Arena and he will let you kill him. You will
have been observed. After you collect the gold and armour due to you and find
out what else to do in the Arena, go to sleep and you will be approached so
that you can then join the Brotherhood. Do all the quests and also try your
hand at visiting the Daedric shrines, doing those quests also. In this manner
(and although your name will be mud) you can do all the possible quests in the
game.

More help:

The side quests are mostly dead easy, but if you need any help with any
of them you can try me at the e-mail address below. I can't guarantee that
I'll remember all of them, since there are over 200, but I'll try to help you
if I can.